English

Expectiles for subordinated Gaussian processes with applications

Statistics Theory 2011-07-06 v1 Statistics Theory

Abstract

In this paper, we introduce a new class of estimators of the Hurst exponent of the fractional Brownian motion (fBm) process. These estimators are based on sample expectiles of discrete variations of a sample path of the fBm process. In order to derive the statistical properties of the proposed estimators, we establish asymptotic results for sample expectiles of subordinated stationary Gaussian processes with unit variance and correlation function satisfying ρ(i)κiα\rho(i)\sim \kappa|i|^{-\alpha} (κ\RR\kappa\in \RR) with α>0\alpha>0. Via a simulation study, we demonstrate the relevance of the expectile-based estimation method and show that the suggested estimators are more robust to data rounding than their sample quantile-based counterparts.

Keywords

Cite

@article{arxiv.1107.0540,
  title  = {Expectiles for subordinated Gaussian processes with applications},
  author = {Jean-François Coeurjolly and Hedi Kortas},
  journal= {arXiv preprint arXiv:1107.0540},
  year   = {2011}
}
R2 v1 2026-06-21T18:31:29.747Z